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Risk Management Activities (Tables) | 12 Months Ended
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Dec. 31, 2020
Financial Instruments [Abstract] |
Derivative Financial Instruments | Net Risk Management Assets and Liabilities Aggregate net risk management assets and (liabilities) are as follows:
As at Dec. 31, 2020 |  |  |  |
| Cash flow hedges |  | Not designated as a hedge | Total
Commodity risk management |  |  |  |
Current | 101 |  |  | (11) |  | 90 |
Long-term | 471 |  |  | (19) |  | 452 |
Net commodity risk management assets (liabilities) | 572 |  |  | (30) |  | 542 |
Other |  |  |  |
Current | (9) |  |  | (4) |  | (13) |
Long-term | — |  |  | 1 |  | 1 |
Net other risk management liabilities | (9) |  |  | (3) |  | (12) |
Total net risk management assets (liabilities) | 563 |  |  | (33) |  | 530 |
As at Dec. 31, 2019 |  |  |  |
| Cash flow hedges |  | Not designated as a hedge | Total
Commodity risk management |  |  |  |
Current | 70 |  |  | 15 |  | 85 |
Long-term | 606 |  |  | 1 |  | 607 |
Net commodity risk management assets | 676 |  |  | 16 |  | 692 |
Other |  |  |  |
Current | — |  |  | — |  | — |
Long-term | — |  |  | 4 |  | 4 |
Net other risk management assets | — |  |  | 4 |  | 4 |
Total net risk management assets | 676 |  |  | 20 |  | 696 |
The Corporation’s outstanding commodity derivative instruments designated as hedging instruments are as follows:
As at Dec. 31 | 2020 | 2019
Type (thousands) | Notional amount sold | Notional amount purchased | Notional amount sold | Notional amount purchased
Electricity (MWh)(1) | 95 |  | — |  | 222 |  | — |
(1) Excludes the long-term power sale - US contract. For further details on this contract, refer to Note 15(B)(I)(c)(i). The Corporation’s outstanding commodity derivative instruments not designated as hedging instruments are as follows:
As at Dec. 31 | 2020 | 2019
Type (thousands) | Notional amount sold | Notional amount purchased | Notional amount sold | Notional amount purchased
Electricity (MWh) | 12,944 |  | 8,258 |  | 16,097 |  | 7,204 |
Natural gas (GJ) | 23,035 |  | 177,448 |  | 38,062 |  | 55,023 |
Transmission (MWh) | — |  | 1,578 |  | — |  | 1,818 |
Emissions (MWh) | 1,831 |  | 2,112 |  | 184 |  | 138 |
Emissions (tonnes) | 2,160 |  | 2,365 |  | 2,436 |  | 2,446 |
As at Dec. 31 | 2020 | 2019
Notional amount sold | Notional amount purchased | Fair value liability | Maturity | Notional amount sold | Notional amount purchased | Fair value asset | Maturity
Foreign Exchange Forward Contracts - foreign-denominated receipts/expenditures |  |
CAD71 |  | USD54 |  | (2) |  | 2021 |  | CAD124 |  | USD95 |  | — |  | 2020-2021
As at Dec. 31 |  | 2020 |  | 2019
Notional amount sold | Notional amount purchased | Fair value asset (liability) | Maturity | Notional amount sold | Notional amount purchased | Fair value asset (liability) | Maturity
Foreign exchange forward contracts – foreign-denominated receipts/expenditures
AUD197 |  | CAD181 |  | (14) |  | 2021-2024 | AUD286 |  | CAD266 |  | — |  | 2020 - 2023
USD47 |  | CAD72 |  | 9 |  | 2021-2024 | USD108 |  | CAD139 |  | (4) |  | 2020 - 2023
AUD4 |  | USD3 |  | — |  | 2021 |  |  |  |
CAD1 |  | EUR1 |  | — |  | 2021 |  |  |  |
Foreign exchange forward contracts – foreign-denominated debt
CAD191 |  | USD150 |  | 2 |  | 2022 |  | CAD191 |  | USD150 |  | 6 |  | 2022
Net Arrangements | Information about the Corporation’s financial assets and liabilities that are subject to enforceable master netting arrangements or similar agreements is as follows:
As at Dec. 31 | 2020 | 2019
| Current financial assets | Long-term financial assets | Current financial liabilities | Long-term financial liabilities | Current financial assets | Long-term financial assets | Current financial liabilities | Long-term financial liabilities
Gross amounts recognized | 120 |  | 69 |  | (132) |  | (104) |  | 316 |  | 631 |  | (191) |  | (100) |
Gross amounts set-off | (69) |  | (10) |  | 69 |  | 10 |  | (140) |  | (42) |  | 140 |  | 42 |
Net amounts as included in the Consolidated Statements of Financial Position | 51 |  | 59 |  | (63) |  | (94) |  | 176 |  | 589 |  | (51) |  | (58) |
Effect of Hedges | The impact of hedged items designated in hedging relationships on OCI and net earnings is:
Year ended Dec. 31, 2020
|  |  |  | Effective portion |  |  |  | Ineffective portion |  |
Derivatives in cash flow hedging relationships |  | Pre-tax gain (loss) recognized in OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss reclassified from OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss recognized in earnings
Commodity contracts |  | 41 |  |  | Revenue |  | (137) |  |  | Revenue |  | — |
Foreign exchange forwards on project hedges |  | (1) |  |  | Property, plant and equipment |  | — |  |  | Foreign exchange (gain) loss |  | — |
Forward starting interest rate swaps |  | (12) |  |  | Interest expense |  | (4) |  |  | Interest expense |  | — |
OCI impact |  | 28 |  |  | OCI impact |  | (141) |  |  | Net earnings impact |  | — |
Year ended Dec. 31, 2019
|  |  |  | Effective portion |  |  |  | Ineffective portion |  |
Derivatives in cash flow hedging relationships |  | Pre-tax gain (loss) recognized in OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss reclassified from OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss recognized in earnings
Commodity contracts |  | 77 |  |  | Revenue |  | (59) |  |  | Revenue |  | — |
Forward starting interest rate swaps |  | — |  |  | Interest expense |  | 6 |  |  | Interest expense |  | — |
OCI impact |  | 77 |  |  | OCI impact |  | (53) |  |  | Net earnings impact |  | — |
Year ended Dec. 31, 2018
|  |  |  | Effective portion |  |  |  | Ineffective portion |  |
Derivatives in cash flow hedging relationships |  | Pre-tax gain (loss) recognized in OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss reclassified from OCI |  | Location of (gain) loss reclassified from OCI |  | Pre-tax (gain) loss recognized in earnings
Commodity contracts |  | (9) |  |  | Revenue |  | (67) |  |  | Revenue |  | — |
Foreign exchange forwards on US debt |  | — |  |  | Foreign exchange (gain) loss |  | 3 |  |  | Foreign exchange (gain) loss |  | — |
Forward starting interest rate swaps |  | — |  |  | Interest expense |  | 7 |  |  | Interest expense |  | — |
OCI impact |  | (9) |  |  | OCI impact |  | (57) |  |  | Net earnings impact |  | — |
Currency Rate Risk | The possible effect on net earnings and OCI, due to changes in foreign exchange rates associated with financial instruments denominated in currencies other than the Corporation’s functional currency, is outlined below. The sensitivity analysis has been prepared using management’s assessment that an average three cent (2019 — three cent, 2018 — four cent) increase or decrease in these currencies relative to the Canadian dollar is a reasonable potential change over the next quarter.
Year ended Dec. 31 | 2020 | 2019 | 2018
Currency | Net earnings increase (decrease)(1) | OCI gain(1),(2) | Net earnings increase(1) | OCI gain(1),(2) | Net earnings decrease(1) | OCI gain(1),(2)
USD | (8) |  | 1 |  | (18) |  | 2 |  | (13) |  | — |
AUD | (4) |  | — |  | (6) |  | — |  | (7) |  | — |
Total | (12) |  | 1 |  | (24) |  | 2 |  | (20) |  | — |
(1) These calculations assume an increase in the value of these currencies relative to the Canadian dollar. A decrease would have the opposite effect. (2) The foreign exchange impact related to financial instruments designated as hedging instruments in net investment hedges has been excluded.
Credit Risk | The following table outlines the Corporation’s maximum exposure to credit risk without taking into account collateral held, including the distribution of credit ratings, as at Dec. 31, 2020:
| Investment grade (Per cent) | Non-investment grade (Per cent) | Total (Per cent) | Total amount
Trade and other receivables(1) | 92 |  | 8 |  | 100 |  | 583 |
Long-term finance lease receivable | 100 |  | — |  | 100 |  | 228 |
Risk management assets(1) | 93 |  | 7 |  | 100 |  | 692 |
Loan receivable(2) | — |  | 100 |  | 100 |  | 52 |
Total |  |  |  | 1,555 |
(1) Letters of credit and cash and cash equivalents are the primary types of collateral held as security related to these amounts. (2) The counterparty has no external credit rating. Refer to Note 22 for further details.
Maturity Analysis of Financial Liabilities |
| 2021 | 2022 | 2023 | 2024 | 2025 | 2026 and thereafter | Total
Accounts payable and accrued liabilities | 599 |  | — |  | — |  | — |  | — |  | — |  | 599 |
Long-term debt(1) | 96 |  | 626 |  | 277 |  | 119 |  | 136 |  | 2,010 |  | 3,264 |
Exchangeable securities(2) | — |  | — |  | — |  | — |  | 750 |  | — |  | 750 |
Commodity risk management (assets) liabilities | (92) |  | (87) |  | (131) |  | (131) |  | (103) |  | 2 |  | (542) |
Other risk management (assets) liabilities | 14 |  | — |  | 1 |  | (2) |  | — |  | (1) |  | 12 |
Lease liabilities(3) | (5) |  | 6 |  | 5 |  | 5 |  | 5 |  | 118 |  | 134 |
Interest on long-term debt and lease liabilities(4) | 161 |  | 153 |  | 126 |  | 119 |  | 113 |  | 893 |  | 1,565 |
Interest on exchangeable securities(2, 4) | 53 |  | 52 |  | 53 |  | 52 |  | — |  | — |  | 210 |
Dividends payable | 59 |  | — |  | — |  | — |  | — |  | — |  | 59 |
Total | 885 |  | 750 |  | 331 |  | 162 |  | 901 |  | 3,022 |  | 6,051 |
(1) Excludes impact of hedge accounting and derivatives. (2) Assumes the exchangeable securities will be exchanged on Jan. 1, 2025. Refer to Note 25 for further details. (3) Lease liabilities include a lease incentive of $13 million, expected to be received in 2021. (4) Not recognized as a financial liability on the Consolidated Statements of Financial Position The following table outlines the terms and conditions of derivative hedging instruments and how they affect the amount, timing and uncertainty of future cash flows:
| Maturity
| 2021 | 2022 | 2023 | 2024 | 2025 | 2026 and thereafter
Cash flow hedges(1) |  |  |  |  |  |
Foreign currency forward contracts |  |  |  |  |
Notional amount ($ millions) |  |  |  |  |
CAD/USD | 54 |  | — |  | — |  | — |  | — |  | — |
Average Exchange Rate |  |  |  |  |  |
CAD/USD | 0.7648 |  | — |  | — |  | — |  | — |  | — |
Commodity derivative instruments |  |  |  |  |
Electricity |  |  |  |  |  |
Notional amount (thousands MWh) | 3,424 |  | 3,329 |  | 3,329 |  | 3,338 |  | 2,628 |  | — |
Average Price ($ per MWh) | 69.51 |  | 71.91 |  | 73.72 |  | 75.56 |  | 77.44 |  | — |
(1) The interest rate swaps detailed above both settle in 2021.
Hedging Instruments | The impact of the hedging instruments on the statement of financial position is as follows:
As at Dec. 31, 2020 |  |  |  |
| Notional amount | Carrying amount | Line item in the statement of financial position | Change in fair value used for measuring ineffectiveness
Commodity price risk |  |  |  |
Cash flow hedges |  |  |  |
Physical power sales | 16 MMWh | 573 |  | Risk management assets | (33) |
Interest rate risk |  |  |  |
Cash flow hedges |  |  |  |
Interest rate swap | USD150 | (3) |  | Risk management liabilities | 3 |
Interest rate swap | CAD75 | (4) |  | Risk management liabilities | 4 |
Foreign currency risk |  |  |  |
Net investment hedges |  |  |  |
Foreign-denominated debt | USD370 | CAD472 | Credit facilities, long-term debt and lease liabilities | 11 |
As at Dec. 31, 2019 |  |  |  |
| Notional amount | Carrying amount | Line item in the statement of financial position | Change in fair value used for measuring ineffectiveness
Commodity price risk |  |  |  |
Cash flow hedges |  |  |  |
Physical power sales | 19 MMWh | 678 |  | Risk management assets | 47 |
Foreign currency risk |  |  |  |
Net investment hedges |  |  |  |
Foreign-denominated debt | USD370 | CAD483 | Credit facilities, long-term debt and lease liabilities | 21 |
The impact of the hedged items on the statement of financial position is as follows:
As at Dec. 31 | 2020 | 2019
| Change in fair value used for measuring ineffectiveness | Cash flow hedge reserve(1) | Change in fair value used for measuring ineffectiveness | Cash flow hedge reserve(1)
Commodity price risk |  |  |  |
Cash flow hedges |  |  |  |
Power forecast sales – Centralia | (33) |  | 417 |  | 47 |  | 527 |
Interest rate risk |  |  |  |
Cash flow hedges |  |  |  |
Interest expense on long-term debt | 7 | 19 | — |  | — |
| Change in fair value used for measuring ineffectiveness | Foreign currency translation reserve(1) | Change in fair value used for measuring ineffectiveness | Foreign currency translation reserve(1)
Foreign currency risk |  |  |  |
Net investment hedges |  |  |  |
Net investment in foreign subsidiaries | 11 |  | (21) |  | 21 |  | (21) |
(1) Included in AOCI.

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